%-------------------------------------------------------------------------;
% Table 3: Holding Period Returns and the Market Model;
%-------------------------------------------------------------------------;

clear;
clc;
close all;

%-------------------;
% Import data;
%-------------------;

filename='Main_data_1996_2022';
[data,txt,raw]=xlsread(filename);

dates=txt(2:end,1);

%Index data;
SP_500=data(:,1);           %SP 500 index price level;
Div_m=data(:,2);            %Monthly index dividends;
Div_a=data(:,3);            %Annual index dividends;
SP_ret=data(2:end,4);       %Monthly return on SP 500 index;

%Dividend strip data;
Div_strip_12=data(:,5);     %Price of 12-month dividend strip;
Div_strip_ret=data(2:end,6);%Monthly return on dividend strip strategy;

%Indicated dividends;
Ind_div=data(1:end,7);  

%Bond returns;
Bond_2y=data(2:end,8);      %Monthly return on 2-year Treasury bond;
Bond_10y=data(2:end,9);     %Monthly return on 10-year Treasury bond;

%Fama-French data;
Mkt_Rf=data(2:end,10);      %Market factor;
Rf=data(2:end,11);          %Risk-free rate;

%Define dividend-to-price ratios;
DP_sp=Div_a./SP_500;
DP_strip=Div_a./Div_strip_12;

%Define indicated dividend growthh;
Ind_dg=(Ind_div./Div_a)-1;     

%Take logarithms of all the main variables;
ret_sp=log(SP_ret+1);
ret_strip=log(Div_strip_ret+1);

bond_2y=log(Bond_2y+1);  
bond_10y=log(Bond_10y+1);

mkt_rf=log(Mkt_Rf+1);
rf=log(Rf+1);

dp_sp=log(DP_sp);
dp_strip=log(DP_strip);

ind_dg=log(Ind_dg+1);

%-------------------------------------;
%Alphas and betas across the horizon;
%-------------------------------------;

ret_sp_ex=ret_sp-rf; 
ret_strip_ex=ret_strip-rf;

%To store results;
Tab_3=zeros([6,36]);

for h=1:36
    
ret_sp_h=filter(ones(h,1),1,ret_sp_ex);
ret_strip_h=filter(ones(h,1),1,ret_strip_ex);
mkt_rf_h=filter(ones(h,1),1,mkt_rf);

ret_strip_h=ret_strip_h(h:end);
ret_sp_h=ret_sp_h(h:end);
mkt_rf_h=mkt_rf_h(h:end);

y=ret_strip_h;
x=[ones(size(ret_strip_h,1),1) ret_sp_h];
%x=[ones(size(ret_strip_h,1),1) mkt_rf_h]; %Fama-French market factor;

[b,b_std,tb,R2,AR2,error]=olsnw(y,x,1,max(h,6));

Tab_3(1:6,h)=[b(1,1)*(12/h);tb(1,1);b(2,1);tb(2,1);R2;length(error)];
end

Tab_3=Tab_3(:,[1 6 12 18 24 30 36]);

disp('Table 3')
disp(Tab_3)
